Bootstrap bias-adjusted GMM estimators
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Abstract
The ability of six alternative bootstrap methods to reduce the bias of GMM parameter estimates is examined in an instrumental variable framework using Monte Carlo analysis. Promising results were found for the two bootstrap estimators suggested in the paper.
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Ramalho, J.J.S. (2005), Bootstrap bias-adjusted GMM estimators, Documento de Trabalho nº 2005/10, Universidade de Évora, Departamento de Economia.